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Cross-validation and non-parametric k nearest-neighbour estimation

Author

Listed:
  • Desheng Ouyang
  • Dong Li
  • Qi Li

Abstract

In this paper we consider the problem of estimating a non-parametric regression function using the k nearest-neighbour method. We provide asymptotic theories for the least-squares cross validation (CV) selected smoothing parameter k for both local constant and local linear estimation methods. We also establish the asymptotic normality results for the resulting non-parametric regression function estimators. Some limited Monte Carlo experiments show that the CV method performs well in finite sample applications. Copyright Royal Economic Society 2006

Suggested Citation

  • Desheng Ouyang & Dong Li & Qi Li, 2006. "Cross-validation and non-parametric k nearest-neighbour estimation," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 448-471, November.
    • Handle: RePEc:ect:emjrnl:v:9:y:2006:i:3:p:448-471
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    Cited by:

    1. Dominique Guegan & Patrick Rakotomarolahy, 2010. "Alternative methods for forecasting GDP," Post-Print halshs-00511979, HAL.
    2. Zheng Li & Guannan Liu & Qi Li, 2017. "Nonparametric Knn estimation with monotone constraints," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 988-1006, October.
    3. repec:ebl:ecbull:v:3:y:2008:i:48:p:1-6 is not listed on IDEAS
    4. Dominique Guegan & Patrick Rakotomarolahy, 2010. "Alternative methods for forecasting GDP," PSE-Ecole d'économie de Paris (Postprint) halshs-00511979, HAL.
    5. Li, Hongjun & Li, Qi & Liu, Ruixuan, 2016. "Consistent model specification tests based on k-nearest-neighbor estimation method," Journal of Econometrics, Elsevier, vol. 194(1), pages 187-202.
    6. Dominique Guegan & Patrick Rakotomarolahy, 2010. "Alternative methods for forecasting GDP," Post-Print halshs-00505165, HAL.
    7. Dominique Guegan & Patrick Rakotomarolahy, 2009. "The Multivariate k-Nearest Neighbor Model for Dependent Variables : One-Sided Estimation and Forecasting," Post-Print halshs-00423871, HAL.
    8. David Jacho-Chávez, 2008. "k nearest-neighbor estimation of inverse density weighted expectations," Economics Bulletin, AccessEcon, vol. 3(48), pages 1-6.
    9. Emir Malikov & Jingfang Zhang & Shunan Zhao & Subal C. Kumbhakar, 2023. "Accounting for Cross-Location Technological Heterogeneity in the Measurement of Operations Efficiency and Productivity," Papers 2302.13430, arXiv.org.

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